Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1201 |
| Annualized Std Dev | 0.1675 |
| Annualized Sharpe (Rf=0%) | 0.7166 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2942.0000 |
| NAs | 1.0000 |
| Minimum | -0.1078 |
| Quartile 1 | -0.0037 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0910 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0001 |
| Stdev | 0.0106 |
| Skewness | -0.6723 |
| Kurtosis | 13.4179 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0078 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0089 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.3636 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0261 |
| Modified VaR (95%) | -0.0159 |
| Modified ES (95%) | -0.0333 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-11-13 | -0.3636 | 188 | 23 | 165 |
| 2011-05-02 | 2011-10-03 | 2012-02-24 | -0.1911 | 207 | 108 | 99 |
| 2018-09-19 | 2018-12-24 | 2019-04-12 | -0.1812 | 142 | 67 | 75 |
| 2010-04-26 | 2010-07-02 | 2010-11-04 | -0.1569 | 135 | 48 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-07-08 | -0.1444 | 285 | 183 | 102 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 0.1 | -1.9 | -2.3 | -2.6 | 1.2 | -0.4 | -5.8 |
| 2010 | 1.3 | 1 | 1 | -1.4 | -0.7 | -0.4 | -0.9 | 3.1 | 0.2 | -0.2 | 2 | -0.1 | 5.1 |
| 2011 | 1.6 | -1.4 | 0.5 | 0.4 | -2 | 1.6 | -0.6 | -0.9 | -0.7 | -2.8 | -0.2 | -0.3 | -4.8 |
| 2012 | 0.8 | 0.8 | 0.4 | 0.7 | -2.1 | 2.2 | 0.2 | 0.4 | 0.2 | 0.5 | 0.2 | 1.3 | 5.8 |
| 2013 | 0.7 | -0.2 | -0.5 | -0.9 | -1 | -0.2 | 1.2 | -0.6 | 0.7 | 0.2 | 0.3 | 0.4 | 0.1 |
| 2014 | -0.6 | 0.3 | 0.5 | 0 | 0.1 | 0.5 | -0.3 | 0.4 | -1.4 | 1.2 | -0.7 | -1.2 | -1.1 |
| 2015 | -1.1 | -0.1 | -0.4 | 1 | 0.1 | 0.3 | -0.2 | -2.9 | 0.2 | -0.3 | 0.7 | -0.6 | -3.4 |
| 2016 | 0.3 | 1.7 | 0.4 | -0.4 | 0.2 | 0.2 | -0.4 | -0.2 | 0.8 | -1 | -0.5 | -0.5 | 0.6 |
| 2017 | -0.1 | 1 | 0 | 0.2 | 0.7 | 0.3 | 0 | 0.3 | 0.2 | 0.2 | -0.2 | -0.2 | 2.3 |
| 2018 | -0.1 | -1.4 | 1.3 | -0.6 | 0.3 | 0.6 | -0.5 | -0.5 | 0.4 | 0.7 | 0.3 | 0.4 | 1.1 |
| 2019 | 0.1 | 0.5 | 0.9 | -0.8 | -0.8 | 0.5 | -0.9 | 0.1 | -1.3 | 0.9 | -0.3 | 0.3 | -0.7 |
| 2020 | -1.5 | -2 | -4.7 | -3.2 | 0.7 | 0.4 | 0.2 | 0.1 | -0.1 | -1.3 | 1.1 | 0.7 | -9.4 |
| 2021 | 0.9 | 2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
